improvements. The present paper seeks to contribute to this evolution, focusing on the “Global Risk Appetite Index” (GRAI) class of …

existence of momentum anomaly in BIST 100 index during the period July 2008 to June 2015. Jegadeesh and Titman (1993) J month … period and investment period in BIST 100 Index. Results are significant in 9- 12-month momentum investment and 3-6-9-12-month …

This paper introduces a real-time, instantaneous, forward-looking, implied ambiguity index. Ambiguity — the uncertainty …

This paper compares fundamental index strategies to strategies that start with the market index and then tilt towards … corresponding fundamental index, but have higher Information ratios and lower tracking error. Using the same methodology, we also … show that a modified index strategy that incorporates multiple distinct quantitative factors generates much higher …

S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … differentiated asset-class with relevance to the long-term utility of investors. Implications of the S&P 500 Index return … cardinal characteristics of options on S&P 500 Index, central to designing viable volatility investment strategies, are …

We find hedge funds that have higher return covariation with a disaster concern index, which we construct using out … performance when SED is estimated using the disaster concern index purged of disaster risk premiums, and have leverage …

practice. This paper mitigates these problems by combining the CRSP market index with multiple factors to create a single … multifactor market index. Empirical tests of multifactor market indexes using a variety of different test asset portfolios … added to the CRSP index; and (2) the resultant multifactor market indexes are significantly priced in cross-sectional tests …

We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index … disproportionately more than the prices of small stocks. Conversely, flows predict a high future return of the small-minus-large index … portfolio. This finding runs counter to the CAPM, and arises when noise traders distort prices, biasing index weights. When …

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI …